The margin, in basis points, that is added to each rate reset. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required.

Double, or an Array of Doubles

QuotedMarginRS >= 0

QuotedMarginCP

The margin, in basis points, that is added to the resulting coupon rate (computed from the collection of rate resets), when the rate reset is more frequent than the payment frequency. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required.

Double, or an Array of Doubles

QuotedMarginCP >= 0

NotionalAmount

Redemption value for the instrument paid at each rate reset date. If the face value is constant at each rate reset date, then enter a single value, otherwise an array (1 for each rate reset) of face values is required.

Double, or an Array of Doubles

FaceValue >= 0

NotionalFlag

Flags whether the face value amounts are notional only or if they are actually paid.

Enumerated Constant

1 - Notional Only2 - Actually Paid

PastResetRates

The rates observed at the previous rate reset dates. If all the previous rate reset rates are constant, then enter a single rate, otherwise an array of rates is required.

Double, or an Array of Doubles

ZeroCurve

The zero curve of the FRN, which is used to project cash flows.

Curve or Double

AccrualBasis

Array of two Enumerated Constants:

Accrual Basis (RS): Convention used to determine projected cash flow amounts, ie is used to adjust the forward rate derived from the supplied zero curve for a projected valuation.

Accrual Basis (CP): Used to determine the length (in years) of each coupon period, which is used in turn to calculate the coupon amount for that period.

If both conventions are identical then just enter a single Enumerated Constant.

Used to determine the reset date for each floating rate reset. The reset date precedes the effective date for each coupon period by the number of days equal to the reset offset.

Integer

ResetOffset >= 0

HolidaySchedule

Schedule of non-business days (excluding weekends)

Date Range

Leave blank if not applicable

InterpMethod

Method used to calculate rates and discount factors from the supplied zero curve.

Enumerated Constant

1 - Discount Factors2 - Zero Rates

ExCpnDays

No. of days in the ex-dividend period (if ExCpnType = 1, 2, or 3), day of month (if ExCpnType = 4, 5), or No. months (if ExCpnType = 6).

Integer

ExDividend Days > 0

ExCpnType

Method by which the ex-dividend date is determined (if applicable). Used in conjunction with ExCpnDays.

Enumerated Constant

1 - Business Days2 - Calendar Days

ResetCycle

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date.

Enumerated Constant

1 - Maturity Date2 - Effective Date

OutputFlag

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Discount Margin, Accrued Interest, Dirty Price, Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point.